...The file will be found in the VIDEO CLIPS FOLDER on your Memory Card or Phone Memory...

...you can then go to Streaming Links in Gallery and add it there, to make it easier to access in future.

This is one workaround for various streaming link problems. My way was:
- Use browser to go to the appropriate BBC web page.
- Select "listen live"
- Acknowledge the error message and select to listen in the standalone RealPlayer.
- RealPlayer launches and, for various reasons, can't play the stream.
- Exit out of that but choose to save the stream.
- Open Gallery - Streaming Links and add the stream that you just saved.

Not straightforward, is it? You can see why they need Ovi to bring these things to non-geeks.